Make sure that you're clicking on Saved Files, on the left hand side of the library, before you click on Explore.

Use your computer's search to look for some of the song names. When you find them, you'll see where they're saved (eg C:\Documents and Settings\my name\Shared is where my songs are saved). Write down where your songs are saved.

Now in LW click on tools > options > saving. You'll see the location of your saved folder. Is that location the same as what you found, when you searched for your files?